Ubuntu is trying to warn you about a difference between proprietary software and Free and Open-Source Software (FOSS).
Note: These are two extremes and other philosophies and licenses exist.
In many Linux ecosystems, FOSS is the adopted mentality. Here, code is shared so that others can freely modify and make improvements to the code. People are encouraged to use the software for whatever reason they see fit.
When Ubuntu adds free and open-source software, the maintainers and many smart people are able to review the code, find bugs, and implement patches or fixes to issues. This gives Ubuntu an advantage in that they can have more control over the quality of the software available in the repositories (ie:
Sometimes a company wants to hide how something works. There are many reasons as to why a person or company might feel the need to do this, but in such a situation, the code is proprietary. This means that it's compiled or obfuscated in such a way that Ubuntu maintainers and others have no way of reading through the code to determine if the code is high quality, or everything it can/will do. It also means that if the newest kernel has issues with the proprietary code, we have to wait for the owners of the code to make changes, instead of allowing the community to implement the changes.
Today, we have more and more availability to use FOSS and I recommend that you weigh the risk/benefit of running proprietary software. It really depends on your goals, and the state of the open software, but the reality is that if you run proprietary software, nobody can tell you 100% what the software does or is capable of doing. You can reverse engineer and trace what it's currently doing, but to be 100% is not possible from my understanding.
That being said, I do believe that it is in the best interest of companies such as AMD to provide 'honest' software, because anything they do would probably eventually be discovered.